Utilities and household product makers are the only industries with gains since the S&P 500's April peak, rising 8.5 percent and 3.9 percent, respectively. Banks have declined 19 percent since then, commodity companies slid 16 percent and energy producers are down 12 percent.

The Stoxx Europe 600 Index has declined 12 percent in 2011, while the MSCI Emerging Markets Index lost 20 percent and the MSCI World Index of shares in developed nations dropped 7.6 percent. Government bonds worldwide have returned 5.4 percent this year as of Dec. 22, according to Bank of America Merrill Lynch index data. That compares with 3.8 percent last year and is the biggest gain since 2008.

Job Losses

Job losses in the global banking and financial-services industry this year have topped 200,000, according to Bloomberg data, as trading slumped and investment losses grew. Revenue from investment banking and trading at the 10 largest global firms fell 12 percent in the first nine months of this year, after a 23 percent decline in 2010, according to industry consultant Coalition Ltd.

"I was in such a good mood when the year started and everything just went sour," Keith Wirtz, who oversees $14.6 billion as chief investment officer at Fifth Third Asset Management in Cincinnati, said in a Dec. 22 phone interview. "We were dealing with factors that felt unique."

As equities tumbled and price swings increased, investors bought companies whose earnings rely the least on economic growth. Utilities returned 19 percent in 2011 with dividends, led by Oneok Inc. Household goods makers increased 14 percent, pacing by gains in Kraft Foods Inc. and health-care stocks rose 13 percent as Pfizer Inc. jumped.

Defensive Returns

Investors received even more from utility, staples and health-care stocks than the S&P 500 this year after adjusting for price volatility. The average return including dividends from the three defensive groups was 8.2 times the S&P 500's return after taking into account past price fluctuations, according to data compiled by Bloomberg. That's the biggest outperformance in risk-adjusted returns in more than two decades, the data show.

So-called cyclical stocks, or companies most tied to economic growth, posted the biggest losses in 2011. Banks fell 16 percent including dividends, led by Bank of America Corp. and Genworth Financial Inc., while commodity companies, including U.S. Steel Corp. and Alcoa Inc., dropped 8.7 percent as a group.

Now, defensive shares trade at an average price of 14 times reported profits, according to Bloomberg data. The average valuation in 2011 was 13.6, the highest since 2008. That compares with ratios of 13.3 for the S&P 500, 11 for banks and 12 for mining and chemical companies. Non-cyclical companies have traded 5.9 percent below the index's valuation on average since 1999, data compiled by Bloomberg show.